John B. Lee

University of Auckland Business School

Senior Lecturer

12 Grafton Rd

Private Bag 92019

Auckland, 1010

New Zealand

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 36,902

SSRN RANKINGS

Top 36,902

in Total Papers Downloads

1,882

SSRN CITATIONS
Rank 24,325

SSRN RANKINGS

Top 24,325

in Total Papers Citations

37

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Are Men More Optimistic?

Number of pages: 54 Posted: 16 Nov 2007 Last Revised: 21 Jan 2009
Ben Jacobsen, John B. Lee and Wessel Marquering
Tilburg University - TIAS School for Business and Society, University of Auckland Business School and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 726 (49,966)

Abstract:

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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

2.

Time-Varying Rare Disaster Risk and Stock Returns

Number of pages: 64 Posted: 18 Mar 2010 Last Revised: 12 Oct 2010
Henk Berkman, Ben Jacobsen and John B. Lee
University of Auckland Business School, Tilburg University - TIAS School for Business and Society and University of Auckland Business School
Downloads 709 (51,592)
Citation 32

Abstract:

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Equity Premium, Volatility, Rare Disasters, International Political Crises, Consumption

3.

Beta Measurement and Forecasting with High Frequency Returns

Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 11 Apr 2021
University of New South Wales, University of Auckland Business School, University of Hawaii at Manoa - Shidler College of Business and UNSW Business School, University of New South Wales
Downloads 163 (252,705)

Abstract:

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CAPM, realized betas, systematic risk

4.

Targeting Market Neutrality

UNSW Business School Research Paper
Number of pages: 31 Posted: 20 Jan 2017 Last Revised: 10 Sep 2021
University of Auckland Business School, UNSW Business School, University of New South Wales, UNSW Australia Business School, School of Banking and Finance and Commonwealth Bank of Australia
Downloads 158 (259,411)

Abstract:

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Beta forecasting, portfolio optimization, short-horizon forecasting

5.

Gender Differences in Optimism and Asset Allocation

Number of pages: 54 Posted: 16 Nov 2007
Tilburg University - TIAS School for Business and Society, University of Auckland Business School, Erasmus University Rotterdam (EUR) - Department of Financial Management and Nottingham University Business School China
Downloads 126 (309,430)
Citation 9

Abstract:

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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

6.

Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms

Posted: 14 Jan 2021
University of New South Wales, University of Auckland Business School, University of Auckland Business School and UNSW Business School, University of New South Wales

Abstract:

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CAPM, Systematic Risk